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A Statistical Perspective on State-Space Modelling using Subspace Methods
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1991 (English)In: Proceedings of the 30th IEEE Conference on Decision and Control, 1991, 1337-1342 vol.2 p.Conference paper, Published paper (Refereed)
Abstract [en]

The authors investigate aspects of subspace-based state-space identification techniques from a statistical perspective. They concentrate their efforts on a simple approach which is based on finding the range-space of the observability matrix of a state-space representation. The system description is then found using the shift-invariance property of the observability matrix. It is shown that this results in a consistent system description for multivariable output-error models if the measurement noise is white in time and independent from output to output. The asymptotic covariance of the estimated poles of the system is also derived. In the test case studied, the subspace technique performs comparably with the statistically efficient PE (prediction error) method, whereas the instrumental variable method does notably worse. Hence, the subspace technique may be a strong candidate for determining initial values for the optimization in the efficient PE method.

Place, publisher, year, edition, pages
1991. 1337-1342 vol.2 p.
Keyword [en]
Identification, Matrix algebra, Modeling, Observability, Poles and zeros, State-space methods, Statistics
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-91648DOI: 10.1109/CDC.1991.261612ISBN: 0-7803-0450-0 (print)OAI: oai:DiVA.org:liu-91648DiVA: diva2:625134
Conference
30th IEEE Conference on Decision and Control, Brighton, United Kingdom, December, 1991
Available from: 2013-06-04 Created: 2013-04-28 Last updated: 2013-07-29

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Ljung, Lennart

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
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  • modern-language-association-8th-edition
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  • de-DE
  • en-GB
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
  • html
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